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Funds (13F)

Two Sigma Investments, LP

Backtest from 16 Aug 2013 to 2 Nov 2026 · weekly · hypothetical

Watch this strategy
Return a year
+12.9%
S&P 500 +14.1%
Last 12 months
+14.4%
S&P 500 +12.1%
Sharpe ratio
0.65
S&P 500 0.76
Biggest drop
−36.4%
S&P 500 −31.8%
$10.0k$20.0k$40.0k 2013201520172019202120232025 $57.0k$49.8k
Two Sigma Investments, LPS&P 500 $10,000 in Two Sigma Investments, LP from 16 Aug 2013 against the S&P 500 (total return) over the same dates, marked weekly, log scale. Hypothetical: before taxes and trading costs.

About

Copies Two Sigma Investments, LP's quarterly 13F holdings in the companies we cover, weighted by reported value: it buys on the first trading day after each 13F is filed (up to 45 days after the quarter) and holds until the next filing. A 13F shows long US-listed positions only, at the quarter's end, so this misses shorts, cash, bonds, non-US holdings and trading within the quarter.

Two Sigma Investments, LP's 13F holdings →

Key statistics

MeasureStrategyS&P 500
Return a year (compound)+12.9%+14.1%
Total return+398%+470%
Last 12 months+14.4%+12.1%
Last 3 months+1.1%—
Last month−1.6%—
This year so far+12.0%—
Volatility a year17.9%16.3%
Sharpe ratio0.650.76
Biggest drop−36.4%−31.8%
Beta to the S&P 5001.031.00
Alpha a year (t-statistic)−1.1% (−0.69)—
Share of weeks up59%—

Sharpe ratio uses returns above the 3-month Treasury bill rate. Alpha is the yearly return left after allowing for the strategy's exposure to the S&P 500 (CAPM); a t-statistic below about 2 means it cannot be told apart from luck.

Insights

CompanyWeightHeld sinceReturn since
AMZN1.2%——
NVDA1.1%——
AAPL1.1%——
TSLA1.0%——
JPM0.8%——
MA0.8%——
COST0.8%——
ASML0.8%——
AMD0.8%——
C0.7%——
BSX0.7%——
GOOGL0.7%——
LMT0.7%——
ISRG0.7%——
SCHW0.7%——
KMB0.7%——
GS0.7%——
TJX0.7%——
TMUS0.7%——
ABT0.6%——
RBLX0.6%——
IBKR0.6%——
MS0.6%——
MSFT0.6%——
PGR0.6%——
NET0.6%——
CMG0.5%——
MU0.5%——
BE0.5%——
EQIX0.5%——
WFC0.5%——
RTX0.5%——
ITW0.5%——
BMY0.5%——
ALNY0.5%——
INTU0.5%——
GH0.5%——
SNDK0.5%——
WCN0.5%——
CME0.5%——
ROST0.5%——
ABNB0.4%——
MRNA0.4%——
CI0.4%——
IONS0.4%——
AER0.4%——
AAL0.4%——
DOW0.4%——
RSG0.4%——
GM0.4%——
BLK0.4%——
HPE0.4%——
RL0.4%——
NBIS0.4%——
PLTR0.4%——
REGN0.3%——
TXN0.3%——
TEL0.3%——
AMGN0.3%——
CNC0.3%——
CTAS0.3%——
ON0.3%——
APLD0.3%——
META0.3%——
CPRT0.3%——
BBIO0.3%——
FCX0.3%——
NBIX0.3%——
STX0.3%——
CRWV0.3%——
UNP0.3%——
VLO0.3%——
FTNT0.3%——
RIVN0.3%——
HUBS0.3%——
PCG0.3%——
MELI0.3%——
MPC0.3%——
LHX0.3%——
KMX0.3%——
VRSK0.3%——
TTD0.3%——
HRL0.3%——
SPCX0.3%——
SOLS0.3%——
WM0.3%——
DOCN0.3%——
GDDY0.3%——
PODD0.3%——
MOH0.3%——
FIVE0.3%——
SMCI0.3%——
WULF0.3%——
Q0.3%——
DELL0.2%——
GFS0.2%——
IT0.2%——
MSI0.2%——
COF0.2%——
PNW0.2%——
ADC0.2%——
VIAV0.2%——
MPWR0.2%——
CORZ0.2%——
MDT0.2%——
CCK0.2%——
ICE0.2%——
W0.2%——
NDAQ0.2%——
ONTO0.2%——
DHI0.2%——
ARM0.2%——
SIMO0.2%——
LEN0.2%——
FIG0.2%——
ENPH0.2%——
EHC0.2%——
EXEL0.2%——
INCY0.2%——
TER0.2%——
RIG0.2%——
SE0.2%——
OTIS0.2%——
ADBE0.2%——
EIX0.2%——
IDA0.2%——
PBF0.2%——
HEI0.2%——
VSH0.2%——
AVGO0.2%——
DECK0.2%——
AKAM0.2%——
HAL0.2%——
INTC0.2%——
SU0.2%——
LITE0.2%——
BR0.2%——
SPGI0.2%——
VALE0.2%——
ALB0.2%——
FTV0.2%——
TEAM0.2%——
ZION0.2%——
CNQ0.2%——
U0.2%——
NYT0.2%——
BNY0.2%——
DUOL0.2%——
MSCI0.2%——
TT0.2%——

Weighted by reported value in the latest 13F, held until the next filing.

PeriodReturn a yearS&P 500SharpeS&P 500Biggest dropBetaAlpha (t)
Whole backtest16 Aug 2013 to 2 Nov 2026+12.9%+14.1%0.650.76−36.4%1.03−1.1% (−0.69)
2018 onwards5 Jan 2018 to 2 Nov 2026+13.2%+13.9%0.580.66−36.4%1.07−1.1% (−0.54)
Last three years3 Nov 2023 to 2 Nov 2026+22.6%+21.8%1.131.16−17.4%0.97+1.3% (0.33)
Last year7 Nov 2025 to 2 Nov 2026+16.8%+14.2%0.970.84−8.4%0.87+3.6% (0.48)
DateCompanyAction
21 Aug 2026ZYMEBought
21 Aug 2026ZTOBought
21 Aug 2026ZENABought
21 Aug 2026ZDGEBought
21 Aug 2026ZDBought
21 Aug 2026YSWYBought
21 Aug 2026XLOBought
21 Aug 2026WYFIBought
21 Aug 2026WTRGBought
21 Aug 2026WSMBought
21 Aug 2026WSEBought
21 Aug 2026WLKBought
21 Aug 2026WHKBought
21 Aug 2026WHDBought
21 Aug 2026WESTBought
21 Aug 2026WCCBought
21 Aug 2026VYXBought
21 Aug 2026VTVTBought
21 Aug 2026VSNTBought
21 Aug 2026VORBought
21 Aug 2026VGNTBought
21 Aug 2026VBNKBought
21 Aug 2026VALBought
21 Aug 2026VACBought
21 Aug 2026USCBBought

Dated at the rebalance that made the change.

DateCompanyAction
21 Aug 2026ZIMSold
21 Aug 2026ZEPPSold
21 Aug 2026YSGSold
21 Aug 2026YALASold
21 Aug 2026XPELSold
21 Aug 2026XOSSold
21 Aug 2026WTWSold
21 Aug 2026WAYSold
21 Aug 2026VTSSold
21 Aug 2026VRDNSold
21 Aug 2026VICISold
21 Aug 2026VELSold
21 Aug 2026VCYTSold
21 Aug 2026VCSold
21 Aug 2026USAUSold
21 Aug 2026UISold
21 Aug 2026UHSSold
21 Aug 2026UAVSSold
21 Aug 2026TSSISold
21 Aug 2026TRVISold
21 Aug 2026TRAWSold
21 Aug 2026TKNOSold
21 Aug 2026THRMSold
21 Aug 2026THMSold
21 Aug 2026TGENSold

Dated at the rebalance that made the change.

Backtests are hypothetical and use today's listed companies only, which flatters results. Past performance does not predict future returns. This is research, not investment advice. How we backtest